European Business Schools Librarian's Group
Finance Working Papers,
University of Aarhus, Aarhus School of Business, Department of Business Studies
No 02-24: On the Suboptimality of Single-Factor Exercise Strategies for Bermudan Swaptions
Mikkel Svenstrup
No 02-23: Efficient Control Variates and Strategies for Bermudan Swaptions in a Libor Market Model
Malene Shin Jensen and Mikkel Svenstrup
No 02-22: Mortgage Choice - The Danish Case
Mikkel Svenstrup
No 02-21: Valuation of Path-Dependent Interest Rate Derivatives in a Finite Difference Setup
Mikkel Svenstrup
No 02-20: The Pros and Cons of Butterfly Barbells
Michael Christensen
No 02-19: Multivariate Term Structure Models with Level and Heteroskedasticity Effects
Charlotte Christiansen
No 02-18: Improving the Least-Squares Monte-Carlo Approach
Nicki Søndergaard Rasmussen
No 02-17: Efficient Control Variates for Monte-Carlo Valuation of American Options
Nicki Søndergaard Rasmussen
No 02-16: Finite Difference Computation of State-Prices in Term Structure Models: with Applications to Calibration and MBS Analysis
Nicki Søndergaard Rasmussen
No 02-15: Hedging with a Misspecified Model
Nicki Søndergaard Rasmussen
No 02-14: Long-Run Forecasting in Multicointegrated Systems
Boriss Siliverstovs, Tom Engsted and Niels Haldrup
No 02-13: Regime Switching in the Yield Curve
Charlotte Christiansen
No 02-12: Testing for Multiple Types of Marginal Investor in Ex-day Pricing
Jan Bartholdy and Kate Briown
No 02-11: Unbiased Estimation of Expected Return Using CAPM
Jan Bartholdy and Paula Peare
No 02-10: Deposit Insurance and the Risk Premium in Bank Deposit Rates
Jan Bartholdy, G. W. Boyle and R. D. Stover
No 02-9: The Educational Asset Market: A Finance Perspective on Human Capital Investment
Charlotte Christiansen and Helena Skyt Nielsen
No 02-8: Aktiemarkedet
Tom Engsted
No 02-7: Estimating intractable non-linear term structure models
Peter Mikkelsen
No 02-6: Estimating quadratic term structure models by non-linear filtering
Jes Taulbjerg
No 02-5: Conditional moment testing, term premia and affine term structure models
Jes Taulbjerg
No 02-4: Co-integration and exponential-affine models of the term structure
Jes Taulbjerg
No 02-3: Revisiting the shape of the yield curve: the effect of interest rate volatility.
Charlotte Christiansen and Jesper Lund
No 02-2: Misspecification versus bubbles in hyperinflation data: Comment.
Tom Engsted
No 02-1: The comovement of US and UK stock markets.
Tom Engsted and Carsten Tanggaard
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